【導(dǎo)讀】LearningObjectives?risk,liquidity,callprivileges,prepaymentrisk,LearningObjectives?accurately.interestrates.marketability,defaultrisk,?callprivileges,?taxationof. securityine,?prepaymentrisk,and. convertibility.upontimes.Fluctuations(cycles)inbusinessactivity. 2020byTheMcGraw-HillCompanies,

　　

【正文】 s ? identifying portfolio management strategies – a rising yield curve favors shortterm borrowing and longterm lending ? detecting overpriced and underpriced securities ? indicating tradeoffs between maturity and yield ?“riding” the yield curve – active investors may gain by timely portfolio switching ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 52 Duration: A Different Approach to Maturity ? A popular measure of how responsive a debt security’s price is to changes in interest rates is its price elasticity (E). ? Greater price elasticity means that an asset goes through a greater price change for a given change in market rates of interest. 001001 yyyPPPE????% D in a security’s price over time % D in a security’s yield over time ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 53 Duration: A Different Approach to Maturity ? Longerterm debt securities generally have a larger price elasticity than shorterterm securities. ? Debt securities with lower coupon rates also tend to have a larger price elasticity than those with higher coupon rates, since a greater proportion of the lowercoupon security’s total return lies in the final payment at maturity. This is called the coupon effect. ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 54 Duration: A Different Approach to Maturity ? To enable financial analysts to construct a linear relationship between maturity and security price elasticity, regardless of differing coupon rates, a maturity measure called duration (D) was introduced. ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 55 Duration: A Different Approach to Maturity ? Duration is thus a weighted average of the time required for the investor to receive the promised payments. The weights are the present values of those payments. ? ?? ???????????????ntttntttyCtyCD1111Ct = the expected principal/interest payment in time period t y = the security’s yield to maturity, with maturity reached at the end of n periods ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 56 Duration: A Different Approach to Maturity ?The relationship between an asset’s change in market price and its change in yield or interest rate is called convexity. ? Research shows that convexity increases with an asset’s duration. ?Moreover, an asset’s change in price is greater at lower market interest rates than it is at higher market interest rates in general. ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 57 Duration: A Different Approach to Maturity Uses of Duration ? Estimating asset price changes ? % D in asset price ? 1 0 01D ????????D??rr? Portfolio immunization against interest rate changes ? This can be achieved by acquiring a portfolio of assets whose average duration equals the length of the investor’s desired holding period. ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 58 Duration: A Different Approach to Maturity Limitations of Duration ? In practice, it is often difficult to find a group of assets with a certain average duration. ? As time passes, constant adjustments are also needed to ensure that the average duration decreases at the same pace. ? There is some risk associated with the use of conventional measures of duration due to uncertain future interest rate movements. ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 59 Money and Capital Markets in Cyberspace ? Websites that discuss the impact of inflation on interest rates include: ? ? ? ? For more on yield curves, visit: ? ? ? ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 60 Chapter Review ? Inflation and Interest Rates ? Correlation between Inflation and Interest Rates ? Nominal and Real Interest Rates ? The Fisher Effect ? The HarrodKeynes Effect of Inflation ? Alternative Views on Inflation and Interest Rates ? Impact of Price Deflation ? Inflation and Stock Prices ? InflationAdjusted Securities ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 61 Chapter Review ? The Maturity of a Loan ? The Yield Curve and the Term Structure of Interest Rates ? Types of Yield Curves ? The Unbiased Expectations Hypothesis ? The Liquidity Premium View of the Yield Curve ? The SegmentedMarkets Argument ? The Preferred Habitat or Composite Theory ? Research Evidence on YieldCurve Theories ? Uses of the Yield Curve ? 2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 62 Chapter Review ? Duration: A Different Approach to Maturity ? The Price Elasticity of a Debt Security ? The Impact of Varying Coupon Rates ? An Alternative Maturity Index for a Security: Duration ? The Convexity Factor ? Uses of Duration ? Limitations of Duration